佳作分享|不确定性对外汇市场稳定性的影响

Impact of uncertainty on foreign exchange market stability: based on the LT-TVP-VAR model

经济和金融不确定性冲击与外汇市场稳定性研究——基于LT-TVP-VAR模型的实证分析

Author

Jingshan Liu

Bohai Securities Co., Ltd, Tianjin, China and

Nankai University, Tianjin, China

Citation

Liu, J. (2020), "Impact of uncertainty on foreign exchange market stability: based on the LT-TVP-VAR model", China Finance Review International, Vol. 11 No. 1, pp. 53-72. https://doi.org/10.1108/CFRI-07-2019-0112

关键词

Macroeconomic uncertainty, Financial uncertainty, Foreign exchange market stability, Foreign exchange market pressure, Jump risk

摘要

本文基于我国经济结构转型的背景，测度了我国经济不确定性和金融不确定性，并利用LT-TVP-VAR 模型研究了经济不确定性和金融不确定性对我国外汇市场稳定的动态影响关系。研究发现，经济和金融不确定性与我国外汇市场稳定具有显著的潜在门限非线性动态时变关系，在人民币升值阶段，经济和金融不确定性降低了人民币的升值压力；经济和金融不确定性显著增加了跳跃风险，并且不同类型的不确定性对外汇市场跳跃风险影响程度不同，经济不确定性对外汇市场跳跃风险的影响程度相对较大。在贬值阶段，经济和金融不确定性强化了增加了人民币的贬值压力。因此，为防范经济系统不确定性对外汇市场汇稳定性的冲击，应建立经济和金融不确定性预警识别机制，有效识别和防范经济体系潜在的不确定性风险。

Abstract

Purpose

The purpose of this study is to investigate the effects of uncertainty, namely, macroeconomic uncertainty (MU) and financial uncertainty (FU) on foreign exchange market stability, specifically on foreign exchange market pressure (EMP) and jump risk (RJV).

Design/methodology/approach

The latent threshold time-varying parameter VAR (LT-TVP-VAR) econometric approach is used in estimations to solve structural breaks.

Findings

The relationship of uncertainties and China's foreign exchange market stability is latent threshold nonlinear dynamic time-varying. In China's renminbi (RMB) appreciation stage, both MU and FU weaken the appreciation pressure of RMB. Moreover, MU and FU significantly increase the RJV, while MU significantly affects the RJV of the foreign exchange market. In the RMB depreciation stage, both MU and FU strengthen the EMP.

Research limitations/implications

Findings based on data in China's foreign exchange market can be considered for other global markets in future research.

Practical implications

An increase in MU and FU has a negative effect on foreign exchange stability. Regulators can prevent the economic system uncertainty shocks on foreign exchange market stability through observation and judgment of MU and FU, which helps prevent and relieve financial risks. Investors can reduce foreign exchange risk as the exchange rate rebounds after hedging behavior during high uncertainty periods.

Originality/value

The effect of MU on the foreign exchange market stability is greater than that of FU, regardless of whether EMP or RJV occurs in the foreign exchange market.

文章结构

1. Introduction and literature review

   1.1 Introduction

   1.2 Literature review
   

2. LT-TVP-VAR model

3. Data and summary of statistics

   3.1 Macroeconomic and financial uncertainty data

   3.2 Foreign exchange market stability data

   3.3 Data description

4. Empirical results

   4.1 Unit root tests

   4.2 Parameter estimates and threshold test

   4.3 Impact of uncertainty shocks on foreign exchange market stability

   4.4 Variance decomposition analysis

5. Conclusion
   

研究成果

Time-series plots of macroeconomic uncertainty and financial uncertainty

Descriptive statistics of variables

ADF test and DFGLSstationarity test

Estimation results of selected parameters in the LT-TVPVAR model

Acceptance rate of latent threshold (%)

The impact of MU shocks on EMP

The impact of MUshocks on RJV

The impact of FUshocks on EMP

The impact of FUshocks on RJV

EMP and RJV variance decomposition results

主要结论

This study draws on the measurement method of economic uncertainty of Jurado et al. (2015),and construct China's economic and financial uncertainty indexes from July 2005 to December 2017. At the same time, macro and high-frequency data are used to measure China's EMP index and RJV of RMB exchange rate. Then, the LT-TVP-VAR model is used to empirically study the nonlinear dynamic relationship between uncertainty and foreign exchange market stability. The following conclusions are obtained.

First, the LT-TVP-VAR model portrays a nonlinear dynamic time-varying relationship with latent structural breaks between uncertainty (economic and financial uncertainties) and foreign exchange market stability (EMP and RJV).

Second, economic uncertainty has an asymmetric time-varying and persistent effect on the RMB EMP, and different pressure stages have different mutual influence relationships. During the RMB appreciation, economic uncertainty eases the appreciation pressure of the foreign exchange market, while during RMB depreciation, a rise in uncertainty increases the pressure of RMB depreciation. In terms of intensity, the shocks of economic uncertainty on EMP are greater than those of FU on foreign EMP.

Third, both economic and financial uncertainties significantly increase the RMB RJV. The marketization and flexibility of the RMB exchange rate improve and expand to a certain extent. The impact of economic and financial uncertainty on the monthly jumping fluctuations of exchange rate gradually increases, and after the “811” exchange reform, the “countercyclical factor” significantly reduces the impact of this uncertainty on jump fluctuations. In addition, in terms of intensity, the shock of economic uncertainty on jump risk is significantly greater than that of FU.

Fourth, the economic and financial uncertainty indexes measured in this study accurately portray the uncertainty impact of major historical events and reflect the current economic and financial developments in China. At the same time, this study measures and objectively reflects the stability of China's foreign exchange market utilizing the EMP and RJV from macro and micro perspectives.

作者简介

刘精山，安徽人，博士，主要研究领域为金融风险管理、货币政策及证券市场，现为渤海证券和南开大学在站博士后研究员。

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